Quarterly report pursuant to Section 13 or 15(d)

10. FAIR VALUE MEASUREMENTS (Tables)

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10. FAIR VALUE MEASUREMENTS (Tables)
 9 Months Ended
Sep. 30, 2015
Fair Value Disclosures [Abstract]  
Assumptions used and related fair value for conversion feature

Significant assumptions used and related fair values for the warrants as of September 30, 2015 were as follows:

 

Original Issuance   Exercise Price     Volatility     Risk Free Interest Rate     Term (years)     Market Discount     Warrants Outstanding     Fair Value  
07/3/2012   $ 6.09       50.0%       0.64%       1.76       25.3%       211,000     $ 355,000  
12/13/2011   $ 8.43       46.7%       0.33%       1.21       20.0%       138,000       146,000  
                                                    $ 501,000  

 

Significant assumptions used and related fair values for the warrants as of December 31, 2014 were as follows:

 

Original Issuance   Exercise Price     Volatility     Risk Free Interest Rate     Term (years)     Market Discount     Warrants Outstanding     Fair Value  
09/26/2012   $ 8.85       51.0%       0.19%       0.74       37.0%       473,000     $ 748,000  
07/3/2012   $ 6.09       56.1%       0.89%       2.51       32.8%       211,000       811,000  
12/13/2011   $ 8.43       54.3%       0.67%       1.95       28.7%       138,000       427,000  
                                                    $ 1,986,000  

 
Summary of fair value measurements by level

The following table summarizes fair value measurements by level at September 30, 2015 (in thousands):

 

    Level 1     Level 2     Level 3     Total  
Assets:                                
Commodity contracts(1)   $ 1,012     $ –     $ –     $ 1,012  
Total Assets   $ 1,012     $ –     $ –     $ 1,012  
                                 
Liabilities:                                
Warrants(2)   $ –     $ –     $ 501     $ 501  
Commodity contracts(3)     2,026       –       –       2,026  
Total Liabilities   $ 2,026     $ –     $ 501     $ 2,527  

__________

(1) Included in other current assets in the consolidated balance sheets.

(2) Included in warrant liabilities at fair value in the consolidated balance sheets.

(3) Included in accrued liabilities in the consolidated balance sheets.

 

The following table summarizes fair value measurements by level at December 31, 2014 (in thousands):

 

    Level 1     Level 2     Level 3     Total  
Assets:                                
Commodity contracts(1)   $ 1,586     $ –     $ –     $ 1,586  
Total Assets   $ 1,586     $ –     $ –     $ 1,586  
                                 
Liabilities:                                
Warrants(2)   $ –     $ –     $ 1,986     $ 1,986  
Commodity contracts(3)     1,149       –       –       1,149  
Total Liabilities   $ 1,149     $ –     $ 1,986     $ 3,135  

__________

(1) Included in other current assets in the consolidated balance sheets.

(2) Included in warrant liabilities at fair value in the consolidated balance sheets.

(3) Included in accrued liabilities in the consolidated balance sheets.

 
Changes in fair value of Level 3 inputs
Balance, December 31, 2014   $ 1,986  
Exercises of warrants     (72 )
Expiration of warrants     (527 )
Adjustments to fair value for the period     (886 )
Balance, September 30, 2015   $ 501